Equilibrium Alpha in Asset Pricing in an Ambiguity-averse Economy
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Cited by:
- Chiaki Hara & Toshiki Honda, 2014. "Asset Demand and Ambiguity Aversion," KIER Working Papers 911, Kyoto University, Institute of Economic Research.
- Katsutoshi Wakai, 2018. "A Factor Pricing Model under Ambiguity," Discussion papers e-17-012, Graduate School of Economics , Kyoto University.
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More about this item
Keywords
Ambiguity aversion; asset pricing; capital asset pricing model (CAPM); robust mean-variance preferences;All these keywords.
JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2015-11-15 (Financial Markets)
- NEP-UPT-2015-11-15 (Utility Models and Prospect Theory)
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